1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 動態變動相關係數下的外匯期貨之避險比例與績效
作者 鍾柏婷
貢獻者 杜化宇
鍾柏婷
日期 2002
上傳時間 11-Oct-2018 09:32:16 (UTC+8)
摘要 在今日全球化的經濟型態下，不論大小企業皆需處理與外匯相關的業務。外匯持續不斷地變動常使得企業在預期成本與利潤方面遇到困難。因此匯率風險的管理實是愈形重要。本研究應用動態變動相關係數避險模型及因素避險模型從事外匯避險，並與常數相關係數避險模型比較之避險差異。研究對象為1985年2月14日至1990年2月22日之英磅、德國馬克、日圓、瑞士法郎及1988年1月7日至1992年12月31日之加幣。在避險績效比較時進一步分為樣本內、外及日、一週、四週避險。
本研究實證結果如下：
1.在研究期間內，常數相關係數避險模型因模型內的相關係數無法隨時間變動，有高估避險比率的可能。
2.在風險最小化架構下，以相對於不避險部位所減少的風險來衡量，平均而言，動態變動相關係數避險模型及因素避險模型，相對於常數相關係數避險模型有較佳的避險效果。
3.研究期間、各幣別相關係數變動的大小之差異會影響動態變動相關係數避險模型及因素避險模型的相對績效。
4.樣本內及樣本外的大部分幣別，以相對於不避險所能減少的風險來衡量，各模型之避險績效皆隨著避險期間增加而增加。
參考文獻 一、中文部分（依作者姓名排序）
江文強（1997），股價指數期貨避險效果之研究，國立交通大學管理科學研究所碩士論文。
吳玟儀（2002），外匯期貨之最適避險比率與避險效益分析，逢甲大學財務金融學所碩士論文。
林靖文（2001），最適公債期貨避險策略之實證研究，國立高雄第一科技大學財務管理研究所碩士論文。
徐憶文（2002），動態交叉避險之研究―以新台幣兌美元匯率為例，長庚大學企業管理研究所碩士論文。
張峻銘（1998），台股指數期貨避險之實證研究―時間數列模型與技術分析之應用，東海大學管理研究所碩士論文。
盧惠盈（2002），期貨避險比率及績效分析―以外匯期貨為例，國立中正大學財務金融研究所碩士論文。
賴昌作（2000），股價指數期貨之避險比率與避險效益，國立台灣科技大學資訊管理所碩士論文。
魏志良（2002），國際股價指數期貨與現貨直接避險策略之研究，淡江大學財務金融研究所碩士論文。
二、英文部分（依作者姓氏字母排列）
Baillie, R.T. and Myers, R.J. (1991), “Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge”, Journal of Applied Econometrics, 6, 109-124.
Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-327.
Bollerslev, T., Engle, R.F., and Wooldridge, J.M. (1988), “A Capital Asset Pricing Model with Time-Varying Covariances”, The Journal of Political Economy, 96, 116-131.
Bollerslev, T. (1990), “Modeling the Coherence in Short-Term Nominal Exchange rates: a Multivariate Generalized ARCH Approach”, Review of Economics and Statistics, 72, 498-505.
Brenner, R. and Kroner, K.F. (1993), “Arbitrage, Cointegration and Testing for Simple Efficiency in Financial Markets”, Unpubl. Manuscript, Univ. of Arizona
Cecchetti, S.G., Cumby, R.E., and Figlewski, S. (1988), “Estimation of Optimal Futures Hedge”, Review of Economics and Statistics, 70, 623-630.
Dickey, D.A. and Fuller, W. A. (1979), “Distribution of the Estimates for Autoregressive Time Series with Unit Root”, Journal of the American statistical Association, 74, 427-431.
Dickey, D.A. and Fuller, W.A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, 1057-1072.
Diebold, F.X. and Nerlove, M. (1989), “The Dynamics of Exchange Rate Volatility: a Multivariate Latent Factor ARCH Model”, Journal of Applied Econometrics, 4, 1-21.
Ederington, L.H. (1979), “The Hedging Performance of the New Futures Markets”, Journal of Finance, 34, 157-170.
Enders, W. (1995), Applied Econometric Time Series, John Wiley & Sons, Inc.
Enders, W. (1996), RATS Handbook for Econometric Time Series, John Wiley & Sons, Inc.
Engle, R.F. (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, 50, 987-1007.
Engle, R.F. and Granger, C.W.J. (1987), “Co-integration and Error Correction: Representation Estimation and Testing”, Econometrica, 55, 251-276.
Engle, R.F. and Kroner, K.F. (1995), “Multivariate Simultaneous Generalized ARCH”, Econometric Theory, 11, 122-150.
Engle, R.F., Ng, V.K. and Rothschild, M. (1990), “ Asset Pricing with a Factor-ARCH Covariance Structure: Empirical Estimates for Treasury Bills”, Journal of Econometrics, 45, 213-237.
Gagnon, L. and Lypny, G. (1997), “The Benefits of Dynamically Hedging the Toronto 35 Stock Index”, Canadian Journal of Administrative Sciences, 7, 767-783.
Ghosh, A. (1993), “Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model”, Journal of Futures Markets, 13, 743-752.
Ghosh, A. and Clayton, R. (1996), “Hedging with International Stock Index Futures:an Intertemporal Error Correction Model”, The Journal of Financial Research, Vol XIX, 4, 477-491
Granger, C.W.J. and Newbold, P. (1974), “Spurious Regressions in Econometrics”, Journal of Econometrics, 2, 111-120
Hill, J. and Schneeweis T. (1982), “The Hedging Effectiveness of Foreign Currency Futures”, Journal of Financial Research, 5, 95-104.
Holmes, P. (1996), “Stock Index Futures Hedging: Hedge Ratio Estimation, Duration Effects, Expiration Effects and Hedge Ratio Stability”, Journal of Business Finance and Accounting, 23(1), 63-77.
Johnson, L.L. (1960), “The Theory of Hedging and Speculation in Commodity Futures”, Review of Economic Studies, 27, 139-151.
Kawaller, I.G. (2000), “Comparing Futures and Forwards for Managing Currency Exposures”, CME Strategy Paper.
Koutmos, G. and Pericli, A. (1999), “Hedging GNMA Mortgage-Backed Securities
with T-note futures: Dynamic versus Static hedging”, Real Estate Economics, 27, 335-363
Kroner, K.F. and Sultan, J. (1993), “Time Varying Distributions and Dynamic Hedging with Foreign Currency Futures”, Journal of Financial and Quantitative Analysis, 28, 535-551
Lien, D. and Luo, X. (1994), “Multiperiod Hedging in the Presence of Conditional Heteroskedasticity”, The Journal of Futures Markets, 14, 927-955.
Lien, D., Tse, Y. K., and Tsui, A. K. (2001), “Evaluating the Hedging Performance of the Constant-Correlation GARCH Model”, Applied Financial Econometrics, forthcoming.
Longin, F. M. and Solnik, B. (1995), “Is the Correlation in International Equity Returns Constant: 1960-1990?”, Journal of International Money and Finance, 14,3-26.
Malliaris, A.G. and Urrutia, J.L. (1991), “The Impact of the Lengths of Estimation Periods and Hedging Horizons on the Effectiveness of a Hedge: Evidence from Foreign Currency Futures”, Journal of Futures Marktes, 11, 271-289.
Markowitz, H. M. (1952), “Portfolio Selection”, Journal of Finance, 7, 77-91
Park, T.H. and Switzer, L.N. (1995), “Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Futures: A Note”, The Journal of Futures Markets, 15,61-67.
Pourahmadi, M. (1999), “Joint Mean-Covariance Models with Applications to Longitudinal Data: Unconstrained Parameterization”, Biometrika, 86, 677-690.
Said, S. and Dickey, D. (1984), “Testing for Unit Roots in Autoregressive-Moving Average Models with Unknown Order”, Biometrica, 71, 599-607
Stein, J.L. (1961), “The Simultaneous Determination of Spot and Futures Prices”, American Economic Review, 51, 1012-1025.
Sutcliffe, C. M. S. (1997), Stock Index Futures: Theories and International Evidence, 2ⁿᵈ edition, International Thomson Business Press.
Tsay, R.S. (2002), Analysis of Financial Time Series, John Wiley & Sons, Inc.
Tong, W.H.S. (1996), “An Examination of Dynamic Hedging”, Journal of International Money and Finance, 15, 19-35
Tse, Y.K. and Tsui, A.K.C. (2002), “A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations”, Journal of Business & Economic Statistics, 20, 351-362.
Working, H. (1953), “Futures Trading and Hedging”,American Economic Review, 43,314-343.
描述 碩士
國立政治大學
財務管理研究所
90
資料來源 http://thesis.lib.nccu.edu.tw/record/#G91NCCV5882012
資料類型 thesis
dc.contributor.advisor 杜化宇
dc.contributor.author (Authors) 鍾柏婷
dc.creator (作者) 鍾柏婷
dc.date (日期) 2002
dc.date.accessioned 11-Oct-2018 09:32:16 (UTC+8)-
dc.date.available 11-Oct-2018 09:32:16 (UTC+8)-
dc.date.issued (上傳時間) 11-Oct-2018 09:32:16 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/120487-
dc.description (描述) 碩士
dc.description (描述) 國立政治大學
dc.description (描述) 財務管理研究所
dc.description (描述) 90
dc.description.abstract (摘要) 在今日全球化的經濟型態下，不論大小企業皆需處理與外匯相關的業務。外匯持續不斷地變動常使得企業在預期成本與利潤方面遇到困難。因此匯率風險的管理實是愈形重要。本研究應用動態變動相關係數避險模型及因素避險模型從事外匯避險，並與常數相關係數避險模型比較之避險差異。研究對象為1985年2月14日至1990年2月22日之英磅、德國馬克、日圓、瑞士法郎及1988年1月7日至1992年12月31日之加幣。在避險績效比較時進一步分為樣本內、外及日、一週、四週避險。
本研究實證結果如下：
1.在研究期間內，常數相關係數避險模型因模型內的相關係數無法隨時間變動，有高估避險比率的可能。
2.在風險最小化架構下，以相對於不避險部位所減少的風險來衡量，平均而言，動態變動相關係數避險模型及因素避險模型，相對於常數相關係數避險模型有較佳的避險效果。
3.研究期間、各幣別相關係數變動的大小之差異會影響動態變動相關係數避險模型及因素避險模型的相對績效。
4.樣本內及樣本外的大部分幣別，以相對於不避險所能減少的風險來衡量，各模型之避險績效皆隨著避險期間增加而增加。
dc.description.tableofcontents 目次
第一章、緒論1
第一節、研究動機與目的1
第二節、研究架構3
第二章、理論與文獻回顧5
第一節、外匯期貨5
第二節、避險理論6
第三節、國內外相關文獻8
第三章、研究方法22
第一節、資料檢定22
第二節、最適避險比率30
第三節、避險模型31
第四節、模型避險績效評估44
第四章、實證結果45
第一節、資料來源及處理45
第二節、基本分析48
第三節、模型之估計與避險績效比較56
第五章、結論與建議75
第一節、結論75
第二節、研究限制與建議76
參考文獻78
表次
表3-1模型比較43
表4-1研究期間及樣本數45
表4-2外匯期貨交易規格47
表4-3基本統計量48
表4-4單根與共整合50
表4-5 ARCH效果檢定51
表4-6外匯期貨與現貨相關係數（50期移動平均）52
表4-8主成份分析（使用樣本共變異矩陣）57
表4-7常數相關係數避險模型之最大概似估計58
表4-9動態變動相關係數避險模型之最大概似估計59
表4-10因素避險模型之最大概似估計60
表4-11常數相關係數避險模型之避險比率62
表4-12動態變動相關係數避險模型之避險比率62
表4-13因素避險模型之避險比率62
表4-14樣本內單日避險績效比較67
表4-15樣本內一週避險績效比較67
表4-16樣本內四週避險績效比較67
表4-17樣本內避險績效與避險期間比較68
表4-18樣本外單日避險績效比較71
表4-19樣本外一週避險績效比較71
表4-20樣本外四週避險績效比較71
表4-21樣本外避險績效與避險期間比較72
表4-22相關係數標準差比較（以週報酬50期移動平均為例）73
圖次
圖4-1各國期貨與現貨之相關係數走勢圖53
圖4-2各模型避險比率比較圖63
dc.format.extent 115 bytes-
dc.format.mimetype text/html-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCV5882012
dc.title (題名) 動態變動相關係數下的外匯期貨之避險比例與績效
dc.type (資料類型) thesis
dc.relation.reference (參考文獻) 一、中文部分（依作者姓名排序）
江文強（1997），股價指數期貨避險效果之研究，國立交通大學管理科學研究所碩士論文。
吳玟儀（2002），外匯期貨之最適避險比率與避險效益分析，逢甲大學財務金融學所碩士論文。
林靖文（2001），最適公債期貨避險策略之實證研究，國立高雄第一科技大學財務管理研究所碩士論文。
徐憶文（2002），動態交叉避險之研究―以新台幣兌美元匯率為例，長庚大學企業管理研究所碩士論文。
張峻銘（1998），台股指數期貨避險之實證研究―時間數列模型與技術分析之應用，東海大學管理研究所碩士論文。
盧惠盈（2002），期貨避險比率及績效分析―以外匯期貨為例，國立中正大學財務金融研究所碩士論文。
賴昌作（2000），股價指數期貨之避險比率與避險效益，國立台灣科技大學資訊管理所碩士論文。
魏志良（2002），國際股價指數期貨與現貨直接避險策略之研究，淡江大學財務金融研究所碩士論文。
二、英文部分（依作者姓氏字母排列）
Baillie, R.T. and Myers, R.J. (1991), “Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge”, Journal of Applied Econometrics, 6, 109-124.
Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-327.
Bollerslev, T., Engle, R.F., and Wooldridge, J.M. (1988), “A Capital Asset Pricing Model with Time-Varying Covariances”, The Journal of Political Economy, 96, 116-131.
Bollerslev, T. (1990), “Modeling the Coherence in Short-Term Nominal Exchange rates: a Multivariate Generalized ARCH Approach”, Review of Economics and Statistics, 72, 498-505.
Brenner, R. and Kroner, K.F. (1993), “Arbitrage, Cointegration and Testing for Simple Efficiency in Financial Markets”, Unpubl. Manuscript, Univ. of Arizona
Cecchetti, S.G., Cumby, R.E., and Figlewski, S. (1988), “Estimation of Optimal Futures Hedge”, Review of Economics and Statistics, 70, 623-630.
Dickey, D.A. and Fuller, W. A. (1979), “Distribution of the Estimates for Autoregressive Time Series with Unit Root”, Journal of the American statistical Association, 74, 427-431.
Dickey, D.A. and Fuller, W.A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49, 1057-1072.
Diebold, F.X. and Nerlove, M. (1989), “The Dynamics of Exchange Rate Volatility: a Multivariate Latent Factor ARCH Model”, Journal of Applied Econometrics, 4, 1-21.
Ederington, L.H. (1979), “The Hedging Performance of the New Futures Markets”, Journal of Finance, 34, 157-170.
Enders, W. (1995), Applied Econometric Time Series, John Wiley & Sons, Inc.
Enders, W. (1996), RATS Handbook for Econometric Time Series, John Wiley & Sons, Inc.
Engle, R.F. (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, 50, 987-1007.
Engle, R.F. and Granger, C.W.J. (1987), “Co-integration and Error Correction: Representation Estimation and Testing”, Econometrica, 55, 251-276.
Engle, R.F. and Kroner, K.F. (1995), “Multivariate Simultaneous Generalized ARCH”, Econometric Theory, 11, 122-150.
Engle, R.F., Ng, V.K. and Rothschild, M. (1990), “ Asset Pricing with a Factor-ARCH Covariance Structure: Empirical Estimates for Treasury Bills”, Journal of Econometrics, 45, 213-237.
Gagnon, L. and Lypny, G. (1997), “The Benefits of Dynamically Hedging the Toronto 35 Stock Index”, Canadian Journal of Administrative Sciences, 7, 767-783.
Ghosh, A. (1993), “Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model”, Journal of Futures Markets, 13, 743-752.
Ghosh, A. and Clayton, R. (1996), “Hedging with International Stock Index Futures:an Intertemporal Error Correction Model”, The Journal of Financial Research, Vol XIX, 4, 477-491
Granger, C.W.J. and Newbold, P. (1974), “Spurious Regressions in Econometrics”, Journal of Econometrics, 2, 111-120
Hill, J. and Schneeweis T. (1982), “The Hedging Effectiveness of Foreign Currency Futures”, Journal of Financial Research, 5, 95-104.
Holmes, P. (1996), “Stock Index Futures Hedging: Hedge Ratio Estimation, Duration Effects, Expiration Effects and Hedge Ratio Stability”, Journal of Business Finance and Accounting, 23(1), 63-77.
Johnson, L.L. (1960), “The Theory of Hedging and Speculation in Commodity Futures”, Review of Economic Studies, 27, 139-151.
Kawaller, I.G. (2000), “Comparing Futures and Forwards for Managing Currency Exposures”, CME Strategy Paper.
Koutmos, G. and Pericli, A. (1999), “Hedging GNMA Mortgage-Backed Securities
with T-note futures: Dynamic versus Static hedging”, Real Estate Economics, 27, 335-363
Kroner, K.F. and Sultan, J. (1993), “Time Varying Distributions and Dynamic Hedging with Foreign Currency Futures”, Journal of Financial and Quantitative Analysis, 28, 535-551
Lien, D. and Luo, X. (1994), “Multiperiod Hedging in the Presence of Conditional Heteroskedasticity”, The Journal of Futures Markets, 14, 927-955.
Lien, D., Tse, Y. K., and Tsui, A. K. (2001), “Evaluating the Hedging Performance of the Constant-Correlation GARCH Model”, Applied Financial Econometrics, forthcoming.
Longin, F. M. and Solnik, B. (1995), “Is the Correlation in International Equity Returns Constant: 1960-1990?”, Journal of International Money and Finance, 14,3-26.
Malliaris, A.G. and Urrutia, J.L. (1991), “The Impact of the Lengths of Estimation Periods and Hedging Horizons on the Effectiveness of a Hedge: Evidence from Foreign Currency Futures”, Journal of Futures Marktes, 11, 271-289.
Markowitz, H. M. (1952), “Portfolio Selection”, Journal of Finance, 7, 77-91
Park, T.H. and Switzer, L.N. (1995), “Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Futures: A Note”, The Journal of Futures Markets, 15,61-67.
Pourahmadi, M. (1999), “Joint Mean-Covariance Models with Applications to Longitudinal Data: Unconstrained Parameterization”, Biometrika, 86, 677-690.
Said, S. and Dickey, D. (1984), “Testing for Unit Roots in Autoregressive-Moving Average Models with Unknown Order”, Biometrica, 71, 599-607
Stein, J.L. (1961), “The Simultaneous Determination of Spot and Futures Prices”, American Economic Review, 51, 1012-1025.
Sutcliffe, C. M. S. (1997), Stock Index Futures: Theories and International Evidence, 2ⁿᵈ edition, International Thomson Business Press.
Tsay, R.S. (2002), Analysis of Financial Time Series, John Wiley & Sons, Inc.
Tong, W.H.S. (1996), “An Examination of Dynamic Hedging”, Journal of International Money and Finance, 15, 19-35
Tse, Y.K. and Tsui, A.K.C. (2002), “A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations”, Journal of Business & Economic Statistics, 20, 351-362.
Working, H. (1953), “Futures Trading and Hedging”,American Economic Review, 43,314-343.